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Information on the principal investigator and host institution

Information of the project and the call

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Methods of statistical inference about path-forecasts and impulse response functions from time series models

2014/14/M/HS4/00901

Keywords:

forecasting path-forecasts prediction bands impulse response functions confidence bands bootstrap method nonparametric estimation time series models joint inferences multivariate analysis

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny

woj. łódzkie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Anna Staszewska-Bystrova 

Number of co-investigators in the project: 4

Call: HARMONIA 6 - announced on 2014-06-16

Amount awarded: 79 200 PLN

Project start date (Y-m-d): 2015-05-07

Project end date (Y-m-d): 2017-05-06

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (4)
  1. Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions
    Authors:
    Helmut Luetkepohl, Anna Staszewska-Bystrova, Peter Winker
    Academic press:
    Empirical Economics (rok: 2018, tom: 55, strony: 1389-1411), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00181-017-1325-3 - link to the publication
  2. Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions
    Authors:
    Helmut Luetkepohl, Anna Staszewska-Bystrova, Peter Winker
    Academic press:
    AStA Advances in Statistical Analysis (rok: 2018, tom: 102, strony: 229-244), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10182-017-0300-9 - link to the publication
  3. Refined Bonferroni Prediction Bands for Autoregressive Models
    Authors:
    Anna Staszewska-Bystrova
    Academic press:
    Przegląd Statystyczny (rok: 2018, tom: 65, strony: 155-172), Wydawca: Komitet Statystyki i Ekonometrii PAN
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Generating prediction bands for path forecasts from SETAR models
    Authors:
    Daniel Grabowski, Anna Staszewska-Bystrova, Peter Winker
    Academic press:
    Studies in Nonlinear Dynamics and Econometrics (rok: 2017, tom: 21, strony: nie podane), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/snde-2016-0066 - link to the publication

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